Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 03 (2D) | Nov 04 (3D) | Nov 05 (4D) | Nov 06 (5D) | Nov 07 (6D) | Nov 10 (9D) | Nov 11 (10D) | Nov 12 (11D) | Nov 13 (12D) | Nov 14 (13D) | Nov 21 (20D) | Nov 28 (27D) | Dec 05 (34D) | Dec 12 (41D) | Dec 19 (48D) | Dec 26 (55D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 673.255 | 671.276 | 669.608 | 668.138 | 666.809 | 663.381 | 662.371 | 661.41 | 660.492 | 659.611 | 654.216 | 649.708 | 645.755 | 642.193 | 638.924 | 635.885 |
| upper | 690.865 | 692.844 | 694.512 | 695.982 | 697.311 | 700.739 | 701.749 | 702.71 | 703.628 | 704.509 | 709.904 | 714.412 | 718.365 | 721.927 | 725.196 | 728.235 |
| expected move | 8.805 | 10.784 | 12.452 | 13.922 | 15.251 | 18.679 | 19.689 | 20.65 | 21.568 | 22.449 | 27.844 | 32.352 | 36.305 | 39.867 | 43.136 | 46.175 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
